Correlation Between CP ALL and BTS Group
Can any of the company-specific risk be diversified away by investing in both CP ALL and BTS Group at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining CP ALL and BTS Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CP ALL Public and BTS Group Holdings, you can compare the effects of market volatilities on CP ALL and BTS Group and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in CP ALL with a short position of BTS Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of CP ALL and BTS Group.
Diversification Opportunities for CP ALL and BTS Group
Modest diversification
The 3 months correlation between CPALL and BTS is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public and BTS Group Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BTS Group Holdings and CP ALL is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on CP ALL Public are associated (or correlated) with BTS Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BTS Group Holdings has no effect on the direction of CP ALL i.e., CP ALL and BTS Group go up and down completely randomly.
Pair Corralation between CP ALL and BTS Group
Assuming the 90 days trading horizon CP ALL Public is expected to under-perform the BTS Group. But the stock apears to be less risky and, when comparing its historical volatility, CP ALL Public is 1.58 times less risky than BTS Group. The stock trades about -0.13 of its potential returns per unit of risk. The BTS Group Holdings is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 490.00 in BTS Group Holdings on August 29, 2024 and sell it today you would earn a total of 40.00 from holding BTS Group Holdings or generate 8.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
CP ALL Public vs. BTS Group Holdings
Performance |
| Timeline |
| CP ALL Public |
| BTS Group Holdings |
CP ALL and BTS Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CP ALL and BTS Group
The main advantage of trading using opposite CP ALL and BTS Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CP ALL position performs unexpectedly, BTS Group can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in BTS Group will offset losses from the drop in BTS Group's long position.| CP ALL vs. Airports of Thailand | CP ALL vs. PTT Public | CP ALL vs. Bangkok Dusit Medical | CP ALL vs. Kasikornbank Public |
| BTS Group vs. Bangkok Expressway and | BTS Group vs. CP ALL Public | BTS Group vs. Airports of Thailand | BTS Group vs. Bangkok Dusit Medical |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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